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https://issues.apache.org/jira/browse/MATH-377?page=com.atlassian.jira.plugin.system.issuetabpanels:comment-tabpanel&focusedCommentId=12880827#action_12880827
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Phil Steitz commented on MATH-377:
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I could be missing something, but I see no reason that the weighted sum of
squared residuals computed here (after the proposed change) should in general
follow a chi-square distribution or be related to a chi-square test statistic
of any kind. Why is it called chi-square? Sorry if I am missing something
simple here.
> weight versus sigma in AbstractLeastSquares
> -------------------------------------------
>
> Key: MATH-377
> URL: https://issues.apache.org/jira/browse/MATH-377
> Project: Commons Math
> Issue Type: Bug
> Affects Versions: 2.1
> Reporter: Dimitri Pourbaix
> Fix For: 2.2
>
> Original Estimate: 0.02h
> Remaining Estimate: 0.02h
>
> In AbstractLeastSquares, residualsWeights contains the WEIGHTS assigned to
> each observation. In the method getRMS(), these weights are multiplicative
> as they should. unlike in getChiSquare() where it appears at the denominator!
> If the weight is really the weight of the observation, it should multiply
> the square of the residual even in the computation of the chi2.
> Once corrected, getRMS() can even reduce
> public double getRMS() {return Math.sqrt(getChiSquare()/rows);}
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